The Impact of Debt Levels and Debt Maturity on Inflation
The Impact of Debt Levels and Debt Maturity on Inflation
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DOI：
10.1111/ecoj.12015
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发表时间：
2012-12
期刊：
影响因子：
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通讯作者：
Elisa Faraglia;A. Marcet;Rigas Oikonomou;A. Scott
中科院分区：
文献类型：
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作者：
Elisa Faraglia;A. Marcet;Rigas Oikonomou;A. Scott
在政府支出和偏好冲击的粘性价格DSGE模型的背景下，政府只发行名义非或有债券，我们研究了政府债务水平和平均到期日变化对最优通胀的影响。我们在两种不同的制度设置下分析这些关系。在一种情况下，政府以协调的方式追求最优货币和财政政策，而在另一种情况下，我们假设有一个独立的货币当局，根据泰勒规则设定利率，财政当局将债券价格视为给定。我们确定了通胀受债务和债务期限影响的主要机制（实际平衡效应和隐性利得税），并研究了政府实现财政可持续性的其他渠道（税收平滑、利率扭曲和债券价格的内生波动）。在货币与财政政策最优协调的情况下，我们发现通货膨胀的持续性和波动性取决于政府债务的标志、规模和期限结构。高水平的政府债务确实会导致更高的通胀，而期限更长的债务会导致更持久的通胀。然而，即使存在适度的价格粘性，通货膨胀的作用也很小，大部分财政调整是通过改变税收和基本盈余来实现的。然而，在债务管理、货币政策和财政政策不协调的独立货币当局的情况下，通货膨胀将发挥更实质性和更持久的作用。通胀更高、更不稳定、更持久，尤其是在应对偏好冲击时，通胀在实现财政偿付能力方面发挥着重要作用。
In the context of a sticky price DSGE model subject to government expenditure and preference shocks where governments issue only nominal non-contingent bonds we examine the implications for optimal inflation of changes in the level and average maturity of government debt. We analyse these relationships under two different institutional settings. In one case government pursues optimal monetary and fiscal policy in a coordinated way whereas in the alternative we assume an independent monetary authority that sets interest rates according to a Taylor rule and where the fiscal authority treats bond prices as a given. We identify the main mechanisms through which inflation is affected by debt and debt maturity (a real balance effect and an implicit profit tax) and also study additional channels through which the government achieves fiscal sustainability (tax smoothing, interest rate twisting and endogenous fluctuations in bond prices). In the case of optimal coordinated monetary and fiscal policy we find that the persistence and volatility of inflation depends on the sign, size and maturity structure of government debt. High levels of government debt do lead to higher inflation and longer maturity debt leads to more persistent inflation. However even in the presence of modest price stickiness the role of inflation is minor with the majority of fiscal adjustment achieved through changes in taxes and the primary surplus. However in the case of an independent monetary authority where debt management, monetary policy and fiscal policy are not coordinated then inflation has a much more substantial and more persistent role to play. Inflation is higher, more volatile and more persistent especially in response to preference shocks and plays a major role in achieving fiscal solvency.